Quantifying endogeneity of cryptocurrency markets

Michael Mark, Jan Sila, Thomas A. Weber

In this paper we construct a "reflexivity" index for Bitcoin crypto currency that measures the amount of activity generated endogenously within the market. For this purpose we fit a univariate self-exciting Hawkes process with two-classes of parametric kernels to high-frequency trade data that allows for a parsimonious representation of endogenous-exogenous dynamics.

MoreLess

Year of publication:	[2019]
Authors:	Mark, Michael ; Sila, Jan ; Weber, Thomas A.
Publisher:	Prague : Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague
Subject:	Hawkes process \| endogeneity \| branching ratio \| maximum-likelihood estimation \| cryptocurrencies \| bitcoin

freely available

Full text |

More access options

ies.fsv.cuni.cz

Check Google Scholar

In German libraries (KVK)

I need help

Extent:	1 Online-Ressource (circa 20 Seiten) Illustrationen
Series:	IES working paper. - Praha : [Verlag nicht ermittelbar], ZDB-ID 2408568-6. - Vol. 2019, 29
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	hdl:10419/228070 [Handle]
Classification:	G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets ; g58
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012114920